N-Q 1 d36433dnq.htm MFS CHARTER INCOME TRUST N-Q MFS CHARTER INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5822

MFS CHARTER INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Kristin V. Collins

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: November 30

Date of reporting period: August 31, 2015

 


ITEM 1. SCHEDULE OF INVESTMENTS.


QUARTERLY REPORT

August 31, 2015

 

LOGO

 

MFS® CHARTER INCOME TRUST

 

LOGO


PORTFOLIO OF INVESTMENTS

8/31/15 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

 

Issuer    Shares/Par     Value ($)  
Bonds - 111.4%                 
Aerospace - 1.5%                 
Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/21    $ 1,805,000      $ 1,899,763   
Bombardier, Inc., 7.75%, 3/15/20 (n)      123,000        102,705   
Bombardier, Inc., 6.125%, 1/15/23 (n)      1,260,000        938,700   
Bombardier, Inc., 7.5%, 3/15/25 (n)      560,000        424,200   
CPI International, Inc., 8.75%, 2/15/18      1,495,000        1,506,213   
Huntington Ingalls Industries, Inc., 7.125%, 3/15/21      1,805,000        1,911,044   
TransDigm, Inc., 6%, 7/15/22      275,000        270,916   
TransDigm, Inc., 6.5%, 7/15/24      705,000        689,138   
    

 

 

 
             $ 7,742,679   
Airlines - 0.0%                 
Ryanair Ltd., 1.125%, 3/10/23    EUR 175,000      $ 186,964   
Apparel Manufacturers - 0.4%                 
Hanesbrands, Inc., 6.375%, 12/15/20    $ 755,000      $ 786,144   
PVH Corp., 4.5%, 12/15/22      1,375,000        1,371,563   
    

 

 

 
             $ 2,157,707   
Asset-Backed & Securitized - 4.1%                 
Banc of America Commercial Mortgage, Inc., FRN, 5.934%, 2/10/51    $ 1,045,008      $ 1,113,371   
Bayview Financial Acquisition Trust, FRN, 5.483%, 2/28/41 (d)(q)      34,453        36,124   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.798%, 12/28/40 (z)      640,424        400,403   
Citigroup/Deutsche Bank Commercial Mortgage Trust, FRN, 5.366%, 12/11/49      1,605,000        1,661,008   
Commercial Mortgage Pass-Through Certificates, FRN, 5.95%, 6/10/46      230,000        235,317   
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/48      500,000        499,571   
Countrywide Asset-Backed Certificates, FRN, 5.147%, 2/25/33      20,962        20,921   
Crest Ltd., CDO, 7%, 1/28/40 (a)(p)      2,879,074        849,096   
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 1.388%, 7/15/25 (z)      722,000        712,397   
First Union-Lehman Brothers Bank of America, FRN, 0.984%, 11/18/35 (i)      3,762,920        72,015   
Greenwich Capital Commercial Funding Corp., 5.475%, 3/10/39      954,545        989,235   
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 5.961%, 6/15/49      792,055        797,935   
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.136%, 2/15/51      314,513        314,662   
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.961%, 6/15/49      2,346,110        2,470,177   
JPMorgan Chase Commercial Mortgage Trust, 2007-LD11, “AM”, FRN, 5.961%, 6/15/49      2,142,300        2,226,004   
Merrill Lynch Mortgage Trust, FRN, 6.031%, 6/12/50      1,350,000        1,408,886   
Morgan Stanley Capital I Trust, “AM”, FRN, 5.865%, 4/15/49      2,137,000        2,219,200   
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.149%, 2/15/51      3,479,451        3,636,113   
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/48      768,632        756,372   
    

 

 

 
             $ 20,418,807   
Automotive - 2.3%                 
Accuride Corp., 9.5%, 8/01/18    $ 1,735,000      $ 1,761,025   
Delphi Automotive PLC, 1.5%, 3/10/25    EUR 200,000        206,790   
Ford Motor Credit Co. LLC, 1.7%, 5/09/16    $ 550,000        551,543   
Ford Motor Credit Co. LLC, 1.461%, 3/27/17      252,000        250,851   
Ford Motor Credit Co. LLC, 3.157%, 8/04/20      915,000        915,715   
General Motors Financial Co., Inc., 3.45%, 4/10/22      256,000        243,452   
Goodyear Tire & Rubber Co., 6.5%, 3/01/21      1,695,000        1,794,158   
Goodyear Tire & Rubber Co., 7%, 5/15/22      350,000        371,875   
Grupo Antolin Dutch B.V., 5.125%, 6/30/22 (n)    EUR 100,000        112,451   
Harley-Davidson Financial Services, Inc., 2.7%, 3/15/17 (n)    $ 370,000        377,489   
Hyundai Capital America, 2.6%, 3/19/20 (n)      272,000        269,413   
Lear Corp., 4.75%, 1/15/23      1,015,000        1,007,388   
Lear Corp., 5.375%, 3/15/24      60,000        60,900   

 

1


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Automotive - continued                 
Lear Corp., 5.25%, 1/15/25    $ 790,000      $ 786,050   
Schaeffler Finance B.V., 3.25%, 5/15/19    EUR 230,000        259,077   
Schaeffler Finance B.V., 4.75%, 5/15/21 (n)    $ 460,000        452,240   
Schaeffler Holding Finance B.V., 6.25%, 11/15/19 (n)      470,000        494,675   
Volkswagen International Finance N.V., 3.875% to 9/04/18, FRN to 9/29/49    EUR 200,000        234,145   
ZF North America Capital, Inc., 4.5%, 4/29/22 (n)    $ 1,385,000        1,341,719   
    

 

 

 
             $ 11,490,956   
Biotechnology - 0.0%                 
Life Technologies Corp., 6%, 3/01/20    $ 200,000      $ 225,128   
Broadcasting - 1.7%                 
AMC Networks, Inc., 7.75%, 7/15/21    $ 863,000      $ 921,253   
Clear Channel Communications, Inc., 9%, 3/01/21      993,000        880,046   
Clear Channel Worldwide Holdings, Inc., “A”, 6.5%, 11/15/22      190,000        191,995   
Clear Channel Worldwide Holdings, Inc., “B”, 6.5%, 11/15/22      850,000        878,050   
Discovery Communications, Inc., 1.9%, 3/19/27    EUR 425,000        406,045   
Liberty Media Corp., 8.5%, 7/15/29    $ 820,000        836,400   
Liberty Media Corp., 8.25%, 2/01/30      210,000        213,150   
Myriad International Holdings B.V., 5.5%, 7/21/25 (n)      234,000        232,245   
Netflix, Inc., 5.375%, 2/01/21      1,680,000        1,734,600   
Nexstar Broadcasting, Inc., 6.875%, 11/15/20      1,005,000        1,055,250   
Omnicom Group, Inc., 3.65%, 11/01/24      77,000        74,933   
ProSiebenSat.1 Media AG, 2.625%, 4/15/21    EUR 240,000        279,547   
SES Global Americas Holdings GP, 2.5%, 3/25/19 (n)    $ 181,000        180,046   
Tribune Media Co., 5.875%, 7/15/22 (n)      845,000        851,338   
    

 

 

 
             $ 8,734,898   
Brokerage & Asset Managers - 0.1%                 
E*Trade Financial Corp., 4.625%, 9/15/23    $ 730,000      $ 730,000   
Building - 2.3%                 
Allegion U.S. Holding Co., Inc., 5.75%, 10/01/21    $ 1,865,000      $ 1,911,625   
Building Materials Corp. of America, 5.375%, 11/15/24 (n)      1,250,000        1,250,000   
Building Materials Holding Corp., 6.75%, 5/01/21 (n)      675,000        706,219   
CEMEX S.A.B. de C.V., 6.5%, 12/10/19 (n)      284,000        288,260   
CEMEX S.A.B. de C.V., 7.25%, 1/15/21 (n)      423,000        442,966   
CRH Finance Ltd., 3.125%, 4/03/23    EUR 150,000        181,785   
Elementia S.A. de C.V., 5.5%, 1/15/25 (n)    $ 210,000        203,700   
Gibraltar Industries, Inc., 6.25%, 2/01/21      830,000        838,300   
HD Supply, Inc., 7.5%, 7/15/20      980,000        1,046,150   
Headwaters, Inc., 7.25%, 1/15/19      535,000        556,400   
Masco Corp., 4.45%, 4/01/25      85,000        84,991   
Mohawk Industries, Inc., 2%, 1/14/22    EUR 300,000        337,419   
Mohawk Industries, Inc., 3.85%, 2/01/23    $ 134,000        135,233   
Nortek, Inc., 8.5%, 4/15/21      1,015,000        1,087,319   
Owens Corning, Inc., 4.2%, 12/15/22      127,000        127,774   
PriSo Acquisition Corp., 9%, 5/15/23 (n)      685,000        671,300   
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 10%, 6/01/20 (n)      1,075,000        1,155,625   
Union Andina de Cementos S.A.A., 5.875%, 10/30/21 (n)      259,000        257,627   
    

 

 

 
             $ 11,282,693   
Business Services - 1.3%                 
Equinix, Inc., 4.875%, 4/01/20    $ 565,000      $ 577,713   
Equinix, Inc., 5.375%, 1/01/22      305,000        308,050   

 

2


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Business Services - continued                 
Equinix, Inc., 5.375%, 4/01/23    $ 880,000      $ 882,200   
Fidelity National Information Services, Inc., 3.875%, 6/05/24      537,000        501,213   
Fiserv, Inc., 2.7%, 6/01/20      275,000        272,982   
Iron Mountain, Inc., 8.375%, 8/15/21      150,000        154,275   
Iron Mountain, Inc., REIT, 6%, 8/15/23      1,540,000        1,574,650   
MSCI, Inc., 5.75%, 8/15/25 (n)      145,000        147,900   
NeuStar, Inc., 4.5%, 1/15/23      1,260,000        1,071,000   
Tencent Holdings Ltd., 3.375%, 3/05/18 (n)      449,000        458,900   
Tencent Holdings Ltd., 3.8%, 2/11/25 (n)      485,000        468,447   
    

 

 

 
             $ 6,417,330   
Cable TV - 5.1%                 
Altice Financing S.A., 6.5%, 1/15/22 (n)    $ 2,005,000      $ 2,010,013   
Altice Financing S.A., 6.625%, 2/15/23 (n)      2,145,000        2,134,275   
CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 6/01/20      250,000        260,625   
CCO Holdings LLC/CCO Holdings Capital Corp., 6.5%, 4/30/21      1,965,000        2,053,818   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/23 (n)      780,000        780,000   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, 1/15/24      1,020,000        1,040,400   
CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/25 (n)      335,000        325,369   
CCO Safari II LLC, 6.384%, 10/23/35 (n)      217,000        221,055   
Cequel Communications Holdings, 6.375%, 9/15/20 (n)      1,675,000        1,644,431   
Comcast Corp., 4.75%, 3/01/44      223,000        232,343   
DISH DBS Corp., 7.875%, 9/01/19      240,000        260,136   
DISH DBS Corp., 6.75%, 6/01/21      1,000,000        1,003,900   
DISH DBS Corp., 5%, 3/15/23      1,065,000        940,533   
DISH DBS Corp., 5.875%, 11/15/24      380,000        346,275   
Intelsat Jackson Holdings S.A., 7.25%, 4/01/19      300,000        293,250   
Intelsat Jackson Holdings S.A., 6.625%, 12/15/22      1,275,000        1,115,625   
Intelsat Jackson Holdings S.A., 5.5%, 8/01/23      1,330,000        1,170,400   
Intelsat Luxembourg S.A., 8.125%, 6/01/23      1,350,000        992,250   
LGE Holdco VI B.V., 7.125%, 5/15/24 (n)    EUR 520,000        635,813   
Lynx I Corp., 5.375%, 4/15/21 (n)    $ 342,000        350,550   
Lynx II Corp., 6.375%, 4/15/23 (n)      555,000        576,850   
Shaw Communications, Inc., 5.65%, 10/01/19    CAD 260,000        223,360   
SIRIUS XM Radio, Inc., 4.25%, 5/15/20 (n)    $ 90,000        89,831   
SIRIUS XM Radio, Inc., 5.875%, 10/01/20 (n)      120,000        125,100   
SIRIUS XM Radio, Inc., 5.75%, 8/01/21 (n)      185,000        191,475   
SIRIUS XM Radio, Inc., 4.625%, 5/15/23 (n)      740,000        704,850   
SIRIUS XM Radio, Inc., 6%, 7/15/24 (n)      1,065,000        1,096,950   
SIRIUS XM Radio, Inc., 5.375%, 4/15/25 (n)      745,000        735,688   
Time Warner Cable, Inc., 5.75%, 6/02/31    GBP 100,000        150,734   
Time Warner Cable, Inc., 5.25%, 7/15/42    GBP 100,000        135,981   
Time Warner Cable, Inc., 4.5%, 9/15/42    $ 119,000        95,395   
Unitymedia Hessen, 5.5%, 1/15/23 (n)      1,350,000        1,387,125   
Unitymedia KabelBW GmbH, 6.125%, 1/15/25 (n)      770,000        789,250   
Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (n)      800,000        776,000   
VTR Finance B.V., 6.875%, 1/15/24 (n)      480,000        472,800   
Ziggo Bond Finance B.V., 5.875%, 1/15/25 (n)      200,000        193,000   
    

 

 

 
             $ 25,555,450   
Chemicals - 2.3%                 
Celanese U.S. Holdings LLC, 5.875%, 6/15/21    $ 379,000      $ 397,003   
CF Industries, Inc., 5.15%, 3/15/34      169,000        162,660   
Consolidated Energy Finance S.A., 6.75%, 10/15/19 (n)      380,000        375,174   
Evolution Escrow Issuer Co., 7.5%, 3/15/22 (n)      795,000        639,975   

 

3


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Chemicals - continued                 
Flash Dutch 2 B.V./U.S. Coatings Acquisition, 7.375%, 5/01/21 (n)    $ 1,080,000      $ 1,155,492   
Hexion U.S. Finance Corp., 6.625%, 4/15/20      630,000        587,475   
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, 8.875%, 2/01/18      860,000        748,200   
Huntsman International LLC, 8.625%, 3/15/21      413,000        431,548   
Huntsman International LLC, 5.125%, 4/15/21    EUR 165,000        188,395   
INEOS Group Holdings S.A., 6.125%, 8/15/18 (n)    $ 515,000        515,644   
INEOS Group Holdings S.A., 5.875%, 2/15/19 (n)      200,000        198,250   
Israel Chemicals Ltd., 4.5%, 12/02/24 (n)      2,460,000        2,461,476   
LYB International Finance B.V., 4%, 7/15/23      135,000        136,080   
LyondellBasell Industries N.V., 4.625%, 2/26/55      400,000        344,330   
Solvay Finance S.A., FRN, 4.199%, 5/29/49    EUR 250,000        280,910   
Syngenta Finance N.V., 1.875%, 11/02/21    EUR 200,000        234,352   
Tronox Finance LLC, 6.375%, 8/15/20    $ 2,055,000        1,685,100   
W.R. Grace & Co., 5.125%, 10/01/21 (n)      800,000        810,000   
    

 

 

 
             $ 11,352,064   
Computer Software - 0.3%                 
Oracle Corp., 3.4%, 7/08/24    $ 251,000      $ 250,901   
Syniverse Holdings, Inc., 9.125%, 1/15/19      362,000        314,035   
VeriSign, Inc., 4.625%, 5/01/23      1,005,000        979,875   
    

 

 

 
             $ 1,544,811   
Computer Software - Systems - 0.6%                 
Apple, Inc., 2.7%, 5/13/22    $ 400,000      $ 395,183   
Apple, Inc., 3.6%, 7/31/42    GBP 230,000        340,702   
CDW LLC/CDW Finance Corp., 6%, 8/15/22    $ 275,000        288,406   
CDW LLC/CDW Finance Corp., 5.5%, 12/01/24      395,000        391,050   
Sabre GLBL, Inc., 5.375%, 4/15/23 (n)      1,865,000        1,827,700   
    

 

 

 
             $ 3,243,041   
Conglomerates - 2.2%                 
Alfa S.A.B de C.V., 6.875%, 3/25/44    $ 252,000      $ 248,850   
Amsted Industries Co., 5%, 3/15/22 (n)      2,335,000        2,335,000   
ATS Automation Tooling Systems, Inc., 6.5%, 6/15/23 (n)      415,000        418,113   
BC Mountain LLC, 7%, 2/01/21 (n)      1,270,000        1,066,800   
DH Europe Finance S.A., 1%, 7/08/19    EUR 150,000        169,425   
EnerSys, 5%, 4/30/23 (n)    $ 1,720,000        1,659,800   
Enpro Industries, Inc., 5.875%, 9/15/22      1,485,000        1,492,425   
Entegris, Inc., 6%, 4/01/22 (n)      1,575,000        1,594,688   
General Electric Co., 1.25%, 5/26/23    EUR 100,000        110,641   
Renaissance Acquisition, 6.875%, 8/15/21 (n)    $ 1,345,000        1,197,050   
Roper Industries, Inc., 1.85%, 11/15/17      200,000        199,926   
Smiths Group PLC, 1.25%, 4/28/23    EUR 325,000        343,886   
Tyco International Finance S.A., 1.375%, 2/25/25    EUR 125,000        129,991   
    

 

 

 
             $ 10,966,595   
Construction - 0.1%                 
Empresas ICA S.A.B. de C.V., 8.9%, 2/04/21    $ 450,000      $ 211,500   
Empresas ICA S.A.B. de C.V., 8.875%, 5/29/24 (n)      853,000        373,188   
    

 

 

 
             $ 584,688   
Consumer Products - 0.7%                 
Newell Rubbermaid, Inc., 4%, 12/01/24    $ 400,000      $ 405,653   
Prestige Brands, Inc., 8.125%, 2/01/20      257,000        272,420   
Prestige Brands, Inc., 5.375%, 12/15/21 (n)      955,000        947,838   

 

4


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Consumer Products - continued                 
Reckitt Benckiser Treasury Services PLC, 3.625%, 9/21/23 (n)    $ 250,000      $ 255,543   
Spectrum Brands, Inc., 6.375%, 11/15/20      1,025,000        1,085,219   
Spectrum Brands, Inc., 6.125%, 12/15/24 (n)      170,000        176,800   
Spectrum Brands, Inc., 5.75%, 7/15/25 (n)      460,000        473,800   
    

 

 

 
             $ 3,617,273   
Consumer Services - 2.1%                 
ADT Corp., 6.25%, 10/15/21    $ 2,155,000      $ 2,225,038   
ADT Corp., 4.125%, 6/15/23      60,000        55,050   
CEB, Inc., 5.625%, 6/15/23 (n)      900,000        900,000   
Garda World Security Corp., 7.25%, 11/15/21 (n)      480,000        448,800   
Garda World Security Corp., 7.25%, 11/15/21 (n)      660,000        617,100   
Grupo Posadas S.A.B. de C.V., 7.875%, 6/30/22 (n)      800,000        790,000   
Interval Acquisition Corp., 5.625%, 4/15/23 (n)      1,865,000        1,841,688   
Monitronics International, Inc., 9.125%, 4/01/20      1,360,000        1,271,600   
Priceline Group, Inc., 3.65%, 3/15/25      166,000        160,384   
Priceline Group, Inc., 1.8%, 3/03/27    EUR 100,000        98,183   
Service Corp. International, 7%, 6/15/17    $ 1,220,000        1,311,500   
Service Corp. International, 5.375%, 5/15/24      873,000        907,920   
    

 

 

 
             $ 10,627,263   
Containers - 2.9%                 
Ardagh Packaging Finance PLC, 9.125%, 10/15/20 (n)    $ 2,195,000      $ 2,294,873   
Ball Corp., 5%, 3/15/22      1,605,000        1,629,075   
Ball Corp., 5.25%, 7/01/25      165,000        164,175   
Berry Plastics Group, Inc., 5.5%, 5/15/22      1,025,000        991,688   
Crown American LLC, 4.5%, 1/15/23      1,454,000        1,423,103   
Crown European Holdings S.A., 3.375%, 5/15/25 (z)    EUR 350,000        365,260   
Multi-Color Corp., 6.125%, 12/01/22 (n)    $ 1,255,000        1,278,531   
Rexam PLC, 6.75% to 6/29/17, FRN to 6/29/67    EUR 190,000        214,115   
Reynolds Group, 9.875%, 8/15/19    $ 123,000        129,304   
Reynolds Group, 5.75%, 10/15/20      790,000        814,688   
Reynolds Group, 8.25%, 2/15/21      2,030,000        2,088,363   
Sealed Air Corp., 4.5%, 9/15/23 (n)    EUR 225,000        259,932   
Sealed Air Corp., 4.875%, 12/01/22 (n)    $ 1,495,000        1,495,000   
Sealed Air Corp., 5.125%, 12/01/24 (n)      390,000        394,629   
Signode Industrial Group, 6.375%, 5/01/22 (n)      1,170,000        1,129,050   
    

 

 

 
             $ 14,671,786   
Defense Electronics - 0.1%                 
BAE Systems PLC, 4.125%, 6/08/22    GBP 150,000      $ 243,479   
Electrical Equipment - 0.1%                 
Arrow Electronics, Inc., 3.5%, 4/01/22    $ 173,000      $ 169,322   
Avaya, Inc., 10.5%, 3/01/21 (n)      325,000        215,313   
Molex Electronic Technologies LLC, 3.9%, 4/15/25 (n)      201,000        193,229   
    

 

 

 
             $ 577,864   
Electronics - 1.2%                 
Advanced Micro Devices, Inc., 6.75%, 3/01/19    $ 1,045,000      $ 736,725   
Advanced Micro Devices, Inc., 7.5%, 8/15/22      305,000        196,725   
Advanced Micro Devices, Inc., 7%, 7/01/24      575,000        370,875   
Micron Technology, Inc., 5.875%, 2/15/22      675,000        664,875   
Micron Technology, Inc., 5.5%, 2/01/25      375,000        348,750   
NXP B.V., 5.75%, 3/15/23 (n)      1,730,000        1,790,550   

 

5


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Electronics - continued                 
Sensata Technologies B.V., 5.625%, 11/01/24 (n)    $ 475,000      $ 486,875   
Sensata Technologies B.V., 5%, 10/01/25 (n)      835,000        809,950   
Tyco Electronics Group S.A., 2.375%, 12/17/18      294,000        295,491   
Tyco Electronics Group S.A., 1.1%, 3/01/23    EUR 100,000        107,110   
    

 

 

 
             $ 5,807,926   
Emerging Market Quasi-Sovereign - 2.3%                 
Banco do Estado Rio Grande do Sul S.A., 7.375%, 2/02/22    $ 1,092,000      $ 837,564   
CNOOC Finance (2015) U.S.A. LLC, 3.5%, 5/05/25      200,000        191,942   
CNPC General Capital Ltd., 3.4%, 4/16/23 (n)      586,000        567,186   
Comision Federal de Electricidad, 4.875%, 1/15/24      234,000        239,558   
Corporacion Financiera de Desarrollo S.A., 4.75%, 7/15/25 (n)      200,000        199,436   
Corporacion Financiera de Desarrollo S.A., FRN, 5.25%, 7/15/29 (n)      819,000        819,000   
Empresa Nacional del Petroleo, 4.375%, 10/30/24 (n)      200,000        194,697   
Gaz Capital S.A., 4.95%, 2/06/28      383,000        316,749   
KazAgro National Management Holding, 4.625%, 5/24/23 (n)      858,000        719,862   
Kazakhstan Temir Zholy Co., 6.95%, 7/10/42 (n)      967,000        835,972   
Majapahit Holding B.V., 7.25%, 6/28/17 (n)      591,000        636,093   
Majapahit Holding B.V., 8%, 8/07/19 (n)      380,000        427,044   
NOVA Chemicals Corp., 5.25%, 8/01/23 (n)      250,000        251,250   
Office Cherifien des Phosphates, 6.875%, 4/25/44 (n)      702,000        721,249   
ONGC Videsh Ltd., 4.625%, 7/15/24      511,000        522,737   
Pemex Project Funding Master Trust, 5.75%, 3/01/18      642,000        689,348   
Pertamina PT, 4.875%, 5/03/22 (n)      275,000        266,420   
Pertamina PT, 6%, 5/03/42 (n)      318,000        278,250   
Petroleos Mexicanos, 8%, 5/03/19      1,101,000        1,266,315   
Petroleos Mexicanos, 4.875%, 1/24/22      491,000        498,365   
Petroleos Mexicanos, 4.5%, 1/23/26 (n)      198,000        188,110   
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 5/17/22 (n)      279,000        282,930   
Turkiye Vakiflar Bankasi T.A.O., 6.875% to 2/03/20, FRN to 2/03/25 (n)      438,000        418,991   
    

 

 

 
             $ 11,369,068   
Emerging Market Sovereign - 3.1%                 
Dominican Republic, 7.5%, 5/06/21 (n)    $ 548,000      $ 604,855   
Dominican Republic, 5.875%, 4/18/24 (n)      121,000        122,815   
Dominican Republic, 8.625%, 4/20/27      891,000        1,058,063   
Republic of Angola, 7%, 8/16/19      482,000        468,239   
Republic of Colombia, 8.125%, 5/21/24      1,025,000        1,280,225   
Republic of Croatia, 5.5%, 4/04/23 (n)      2,108,000        2,173,875   
Republic of Hungary, 5.375%, 2/21/23      672,000        731,571   
Republic of Indonesia, 11.625%, 3/04/19 (n)      571,000        733,735   
Republic of Indonesia, 7.875%, 4/15/19    IDR 15,259,000,000        1,065,686   
Republic of Indonesia, 2.875%, 7/08/21 (z)    EUR 175,000        193,922   
Republic of Indonesia, 3.375%, 4/15/23 (n)    $ 302,000        279,350   
Republic of Indonesia, 8.375%, 3/15/24    IDR 14,554,000,000        1,011,850   
Republic of Indonesia, 4.125%, 1/15/25 (n)    $ 342,000        327,465   
Republic of Kazakhstan, 5.125%, 7/21/25 (n)      682,000        665,803   
Republic of Panama, 3.75%, 3/16/25      204,000        199,410   
Republic of Panama, 9.375%, 4/01/29      719,000        1,050,639   
Republic of Paraguay, 6.1%, 8/11/44 (n)      550,000        552,750   
Republic of Romania, 6.75%, 2/07/22 (n)      592,000        695,529   
Republic of Slovakia, 4.375%, 5/21/22 (n)      688,000        763,474   
Republic of Turkey, 3.25%, 3/23/23      633,000        576,581   
Russian Federation, 4.875%, 9/16/23 (n)      400,000        382,552   
United Mexican States, 3.625%, 3/15/22      506,000        507,265   
    

 

 

 
             $ 15,445,654   

 

6


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Energy - Independent - 4.4%                 
Afren PLC, 15%, 3/18/16    $ 374,128      $ 280,596   
Afren PLC, 10.25%, 4/08/19 (a)(d)(n)      463,000        13,890   
American Energy-Permian Basin LLC, 7.375%, 11/01/21 (n)      695,000        350,975   
Baytex Energy Corp., 5.625%, 6/01/24 (n)      1,250,000        1,043,150   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21      760,000        562,400   
Chaparral Energy, Inc., 7.625%, 11/15/22      1,830,000        786,900   
Chesapeake Energy Corp., 5.75%, 3/15/23      1,825,000        1,360,556   
Cimarex Energy Co., 4.375%, 6/01/24      350,000        336,711   
Concho Resources, Inc., 6.5%, 1/15/22      825,000        841,673   
Concho Resources, Inc., 5.5%, 4/01/23      1,155,000        1,141,036   
EP Energy LLC, 9.375%, 5/01/20      795,000        769,958   
EP Energy LLC, 7.75%, 9/01/22      2,360,000        2,171,200   
Halcon Resources Corp., 8.875%, 5/15/21      1,000,000        330,000   
Hess Corp., 8.125%, 2/15/19      100,000        116,520   
Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 4/15/20      615,000        247,538   
Linn Energy LLC/Linn Energy Finance Corp., 7.75%, 2/01/21      1,668,000        654,690   
Linn Energy LLC/Linn Energy Finance Corp., 6.5%, 9/15/21      600,000        229,500   
MEG Energy Corp., 6.5%, 3/15/21 (n)      1,495,000        1,249,073   
MEG Energy Corp., 7%, 3/31/24 (n)      445,000        363,788   
Noble Energy, Inc., 5.625%, 5/01/21      1,360,000        1,372,947   
Northern Blizzard Resources, Inc., 7.25%, 2/01/22 (n)      1,018,000        834,760   
Nostrum Oil & Gas Finance B.V., 6.375%, 2/14/19 (n)      272,000        227,800   
Oasis Petroleum, Inc., 6.875%, 3/15/22      695,000        576,850   
QEP Resources, Inc., 5.25%, 5/01/23      1,990,000        1,721,748   
RSP Permian, Inc., 6.625%, 10/01/22 (n)      1,325,000        1,298,500   
Sanchez Energy Corp., 6.125%, 1/15/23      1,390,000        1,042,500   
SM Energy Co., 6.5%, 11/15/21      1,345,000        1,304,650   
SM Energy Co., 6.125%, 11/15/22      645,000        619,200   
    

 

 

 
             $ 21,849,109   
Energy - Integrated - 0.6%                 
Inkia Energy Ltd., 8.375%, 4/04/21    $ 754,000      $ 780,390   
Listrindo Capital B.V., 6.95%, 2/21/19 (n)      200,000        205,000   
LUKOIL International Finance B.V., 4.563%, 4/24/23      200,000        174,380   
LUKOIL International Finance B.V., 4.563%, 4/24/23 (n)      544,000        474,314   
Pacific Exploration and Production Corp., 7.25%, 12/12/21 (n)      1,107,000        597,780   
Pacific Exploration and Production Corp., 5.125%, 3/28/23 (n)      201,000        100,500   
Pacific Exploration and Production Corp., 5.625%, 1/19/25 (n)      173,000        88,230   
Repsol International Finance B.V., 3.625%, 10/07/21    EUR 200,000        243,978   
Shell International Finance B.V., 2.125%, 5/11/20    $ 376,000        373,513   
TOTAL S.A., 2.625% to 2/26/25, FRN to 12/29/49    EUR 200,000        210,894   
    

 

 

 
             $ 3,248,979   
Entertainment - 1.7%                 
Activision Blizzard, Inc., 6.125%, 9/15/23 (n)    $ 1,590,000      $ 1,709,250   
Carmike Cinemas, Inc., 6%, 6/15/23 (n)      500,000        511,250   
Carnival Corp., 1.2%, 2/05/16      370,000        370,207   
Cedar Fair LP, 5.25%, 3/15/21      1,215,000        1,236,263   
Cedar Fair LP, 5.375%, 6/01/24      405,000        411,075   
Cinemark USA, Inc., 5.125%, 12/15/22      1,430,000        1,430,000   
Cinemark USA, Inc., 4.875%, 6/01/23      780,000        760,500   
NCL Corp. Ltd., 5.25%, 11/15/19 (n)      815,000        843,272   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (n)      1,255,000        1,273,825   
    

 

 

 
             $ 8,545,642   

 

7


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Financial Institutions - 4.3%                 
Aircastle Ltd., 4.625%, 12/15/18    $ 130,000      $ 133,575   
Aircastle Ltd., 5.125%, 3/15/21      1,470,000        1,503,075   
Aircastle Ltd., 5.5%, 2/15/22      870,000        900,450   
Aviation Capital Group, 4.625%, 1/31/18 (n)      555,000        570,263   
Aviation Capital Group, 6.75%, 4/06/21 (n)      540,000        611,550   
CIT Group, Inc., 5.25%, 3/15/18      1,520,000        1,578,900   
CIT Group, Inc., 6.625%, 4/01/18 (n)      1,305,000        1,396,350   
CIT Group, Inc., 5.5%, 2/15/19 (n)      1,560,000        1,639,950   
CIT Group, Inc., 3.875%, 2/19/19      566,000        566,000   
CIT Group, Inc., 5%, 8/15/22      745,000        757,106   
Credit Acceptance Co., 7.375%, 3/15/23 (n)      1,435,000        1,470,875   
General Electric Capital Corp., 3.1%, 1/09/23      750,000        751,783   
Icahn Enterprises LP, 6%, 8/01/20      700,000        724,395   
Icahn Enterprises LP, 5.875%, 2/01/22      1,560,000        1,575,990   
Nationstar Mortgage LLC/Capital Corp., 6.5%, 8/01/18      505,000        484,800   
Nationstar Mortgage LLC/Capital Corp., 7.875%, 10/01/20      2,310,000        2,182,950   
Navient Corp., 5.875%, 3/25/21      405,000        363,488   
PHH Corp., 6.375%, 8/15/21      660,000        608,850   
SLM Corp., 8%, 3/25/20      1,135,000        1,149,188   
SLM Corp., 7.25%, 1/25/22      2,110,000        1,988,675   
SLM Corp., 6.125%, 3/25/24      515,000        437,750   
    

 

 

 
             $ 21,395,963   
Food & Beverages - 1.3%                 
Anheuser-Busch InBev S.A., 6.875%, 11/15/19    $ 300,000      $ 353,909   
Coca-Cola Co., 0.75%, 3/09/23    EUR 175,000        188,293   
Coca-Cola Co., 1.125%, 3/09/27    EUR 125,000        129,280   
Coca-Cola Enterprises, Inc., 1.875%, 3/18/30    EUR 200,000        197,562   
Coca-Cola HBC Finance B.V., 4.25%, 11/16/16    EUR 150,000        175,645   
Darling Ingredients, Inc., 5.375%, 1/15/22    $ 795,000        785,063   
Gruma S.A.B. de C.V., 4.875%, 12/01/24 (n)      202,000        212,302   
J.M. Smucker Co., 2.5%, 3/15/20 (n)      365,000        363,179   
J.M. Smucker Co., 4.375%, 3/15/45 (n)      70,000        64,699   
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (n)      85,000        82,450   
Kraft Heinz Co., 5%, 7/15/35 (n)      102,000        105,440   
Kraft Heinz Foods Co., 3.5%, 7/15/22 (n)      202,000        203,906   
Minerva Luxembourg S.A., 7.75%, 1/31/23 (n)      204,000        199,410   
Mondelez International, Inc., 2.375%, 3/06/35    EUR 100,000        97,829   
PepsiCo, Inc., 3.1%, 7/17/22    $ 634,000        642,002   
Sun Merger Sub, Inc., 5.875%, 8/01/21 (n)      1,890,000        1,960,875   
Tyson Foods, Inc., 6.6%, 4/01/16      412,000        424,895   
Tyson Foods, Inc., 5.15%, 8/15/44      81,000        83,065   
Wm. Wrigley Jr. Co., 2.9%, 10/21/19 (n)      107,000        108,825   
Wm. Wrigley Jr. Co., 3.375%, 10/21/20 (n)      300,000        307,744   
    

 

 

 
             $ 6,686,373   
Food & Drug Stores - 0.4%                 
CVS Health Corp., 3.375%, 8/12/24    $ 340,000      $ 333,291   
CVS Health Corp., 4.875%, 7/20/35      121,000        124,838   
CVS Health Corp., 5.75%, 6/01/17      155,000        166,245   
CVS Health Corp., 3.5%, 7/20/22      750,000        764,762   
Walgreens Boots Alliance, Inc., 2.7%, 11/18/19      333,000        333,313   
Walgreens Boots Alliance, Inc., 4.5%, 11/18/34      326,000        300,482   
    

 

 

 
             $ 2,022,931   

 

8


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Forest & Paper Products - 0.2%                 
Appvion, Inc., 9%, 6/01/20 (n)    $ 595,000      $ 333,200   
International Paper Co., 6%, 11/15/41      185,000        196,792   
Smurfit Kappa Acquisitions, 2.75%, 2/01/25 (z)    EUR 275,000        295,168   
Tembec Industries, Inc., 9%, 12/15/19 (n)    $ 565,000        361,600   
    

 

 

 
             $ 1,186,760   
Gaming & Lodging - 2.0%                 
Boyd Gaming Corp., 6.875%, 5/15/23    $ 600,000      $ 616,500   
CCM Merger, Inc., 9.125%, 5/01/19 (n)      1,055,000        1,123,575   
Eldorado Resorts, Inc., 7%, 8/01/23 (n)      180,000        178,650   
Greektown Holdings LLC, 8.875%, 3/15/19 (n)      1,025,000        1,071,125   
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/21      1,890,000        1,970,325   
Isle of Capri Casinos, Inc., 8.875%, 6/15/20      300,000        321,750   
Isle of Capri Casinos, Inc., 5.875%, 3/15/21      1,505,000        1,550,150   
MGM Resorts International, 6.625%, 12/15/21      745,000        791,563   
MGM Resorts International, 6%, 3/15/23      785,000        796,775   
RHP Hotel Properties, 5%, 4/15/23 (n)      345,000        341,550   
Ryman Hospitality Properties, Inc., REIT, 5%, 4/15/21      1,415,000        1,417,830   
    

 

 

 
             $ 10,179,793   
Industrial - 1.0%                 
Anixter, Inc., 5.125%, 10/01/21    $ 765,000      $ 763,088   
Dematic S.A., 7.75%, 12/15/20 (n)      1,515,000        1,545,300   
Howard Hughes Corp., 6.875%, 10/01/21 (n)      1,790,000        1,866,075   
SPL Logistics Escrow LLC, 8.875%, 8/01/20 (n)      590,000        628,350   
    

 

 

 
             $ 4,802,813   
Insurance - 0.4%                 
American International Group, Inc., 3.75%, 7/10/25    $ 400,000      $ 401,764   
American International Group, Inc., 4.875%, 6/01/22      187,000        204,017   
Aviva PLC, 5.7% to 9/29/15, FRN to 9/29/49    EUR 150,000        168,576   
CNP Assurances S.A., 6% to 9/14/20, FRN to 9/14/40    EUR 200,000        253,458   
Delta Lloyd N.V., FRN, 9%, 8/29/42    EUR 150,000        203,225   
Unum Group, 7.125%, 9/30/16    $ 500,000        529,319   
    

 

 

 
             $ 1,760,359   
Insurance - Health - 0.1%                 
UnitedHealth Group, Inc., 2.7%, 7/15/20    $ 528,000      $ 534,945   
Insurance - Property & Casualty - 0.3%                 
Amlin PLC, 6.5% to 12/19/16, FRN to 12/19/26    GBP 100,000      $ 155,115   
Berkshire Hathaway, Inc., 1.625%, 3/16/35    EUR 150,000        140,575   
Berkshire Hathaway, Inc., 4.5%, 2/11/43    $ 250,000        244,938   
Marsh & McLennan Cos., Inc., 3.5%, 6/03/24      159,000        157,277   
QBE Capital Funding III Ltd., 7.5% to 5/24/21, FRN to 5/24/41    GBP 200,000        340,822   
ZFS Finance USA Trust V, 6.5% to 5/09/17, FRN to 5/09/67 (n)    $ 627,000        648,945   
    

 

 

 
             $ 1,687,672   
International Market Quasi-Sovereign - 0.0%                 
Electricite de France S.A., 6% to 1/29/26, FRN to 12/29/49    GBP 100,000      $ 157,286   
International Market Sovereign - 10.7%                 
Buoni Poliennali del Tesoro, 5.5%, 9/01/22    EUR 925,000      $ 1,310,814   
Commonwealth of Australia, 5.75%, 5/15/21    AUD 2,565,000        2,175,929   
Federal Republic of Germany, 6.25%, 1/04/30    EUR 442,000        838,150   
Federal Republic of Germany, 2.5%, 7/04/44    EUR 120,000        167,282   

 

9


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
International Market Sovereign - continued                 
Government of Canada, 3.25%, 6/01/21    CAD 187,000      $ 160,818   
Government of Canada, 2.75%, 6/01/22    CAD 6,500,000        5,475,791   
Government of Canada, 2.5%, 6/01/24    CAD 400,000        332,888   
Government of Canada, 5.75%, 6/01/33    CAD 618,000        727,099   
Government of Japan, 1.1%, 6/20/20    JPY 708,100,000        6,127,093   
Government of Japan, 2.1%, 9/20/24    JPY 262,600,000        2,509,770   
Government of Japan, 2.2%, 9/20/27    JPY 392,000,000        3,858,081   
Government of Japan, 1.8%, 3/20/43    JPY 81,000,000        732,611   
Government of New Zealand, 5.5%, 4/15/23    NZD 4,869,000        3,619,052   
Government of Norway, 3.75%, 5/25/21    NOK 31,200,000        4,343,062   
Government of Norway, 3%, 3/14/24    NOK 2,445,000        333,246   
Kingdom of Denmark, 3%, 11/15/21    DKK 1,392,000        242,330   
Kingdom of Denmark, 1.5%, 11/15/23    DKK 4,119,000        658,974   
Kingdom of Spain, 5.4%, 1/31/23    EUR 1,416,000        1,997,536   
Kingdom of Spain, 5.5%, 7/30/17    EUR 599,000        740,366   
Kingdom of Spain, 4.6%, 7/30/19    EUR 1,130,000        1,457,474   
Kingdom of Sweden, 5%, 12/01/20    SEK 3,565,000        529,796   
Kingdom of Sweden, 3.5%, 6/01/22    SEK 1,275,000        182,620   
Kingdom of the Netherlands, 5.5%, 1/15/28    EUR 335,000        563,599   
Republic of France, 6%, 10/25/25    EUR 141,000        231,907   
Republic of France, 4.75%, 4/25/35    EUR 468,000        777,963   
Republic of Ireland, 4.5%, 4/18/20    EUR 222,000        295,353   
Republic of Italy, 5.25%, 8/01/17    EUR 1,750,000        2,153,659   
Republic of Italy, 3.75%, 3/01/21    EUR 4,042,000        5,170,735   
United Kingdom Treasury, 8%, 6/07/21    GBP 1,260,000        2,630,792   
United Kingdom Treasury, 4.25%, 12/07/27    GBP 938,000        1,776,416   
United Kingdom Treasury, 4.25%, 3/07/36    GBP 515,000        1,013,903   
United Kingdom Treasury, 3.25%, 1/22/44    GBP 350,000        610,155   
    

 

 

 
             $ 53,745,264   
Internet - 0.1%                 
Baidu, Inc., 4.125%, 6/30/25    $ 203,000      $ 199,906   
Baidu, Inc., 3%, 6/30/20      200,000        198,557   
    

 

 

 
             $ 398,463   
Local Authorities - 0.1%                 
Province of Alberta, 1.25%, 6/01/20    CAD 188,000      $ 142,306   
Province of Manitoba, 4.15%, 6/03/20    CAD 166,000        142,268   
    

 

 

 
             $ 284,574   
Machinery & Tools - 1.0%                 
Ashtead Capital, Inc., 5.625%, 10/01/24 (n)    $ 1,685,000      $ 1,673,424   
H&E Equipment Services Co., 7%, 9/01/22      1,740,000        1,731,300   
Jurassic Holdings III, Inc., 6.875%, 2/15/21 (n)      1,200,000        843,000   
Light Tower Rentals, Inc., 8.125%, 8/01/19 (n)      815,000        546,050   
    

 

 

 
             $ 4,793,774   
Major Banks - 2.7%                 
ABN AMRO North America Finance, Inc., 7.125%, 7/06/22    EUR 150,000      $ 211,422   
Bank of America Corp., 7.625%, 6/01/19    $ 370,000        437,389   
Bank of America Corp., 3.95%, 4/21/25      432,000        418,191   
Bank of America Corp., FRN, 6.1%, 12/29/49      3,052,000        2,979,515   
Barclays Bank PLC, 6%, 1/14/21    EUR 150,000        200,697   
Barclays Bank PLC, 6.75% to 1/16/18, FRN to 1/16/23    GBP 100,000        165,249   
Credit Agricole S.A., 7.375%, 12/18/23    GBP 100,000        190,054   

 

10


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Major Banks - continued                 
Credit Agricole S.A., 7.875% to 10/26/19, FRN to 10/29/49    EUR 200,000      $ 265,950   
Goldman Sachs Group, Inc., 5.75%, 1/24/22    $ 500,000        568,322   
Goldman Sachs Group, Inc., 3.5%, 1/23/25      343,000        335,199   
Huntington National Bank, 2.4%, 4/01/20      286,000        281,768   
ING Bank N.V., 3.50% to 11/21/18, FRN to 11/21/23    EUR 250,000        294,729   
JPMorgan Chase & Co., 6.3%, 4/23/19    $ 500,000        567,171   
JPMorgan Chase & Co., 3.25%, 9/23/22      478,000        474,794   
JPMorgan Chase & Co., 3.125%, 1/23/25      301,000        288,443   
JPMorgan Chase & Co., 6.75% to 2/01/24, FRN to 1/29/49      215,000        226,825   
JPMorgan Chase & Co., 6% to 8/01/23, FRN to 12/29/49      2,320,000        2,296,800   
Morgan Stanley, 6.625%, 4/01/18      391,000        435,787   
Morgan Stanley, 2.2%, 12/07/18      238,000        239,007   
Morgan Stanley, 3.95%, 4/23/27      229,000        218,100   
Nationwide Building Society, 1.25%, 3/03/25    EUR 240,000        255,178   
PNC Bank N.A., 2.6%, 7/21/20    $ 295,000        295,976   
Royal Bank of Scotland Group PLC, 5.5%, 3/23/20    EUR 150,000        200,672   
Royal Bank of Scotland Group PLC, 7.5% to 8/10/2020, FRN to 12/29/49    $ 640,000        641,600   
Royal Bank of Scotland Group PLC, 8% to 2025, FRN to 12/29/49      200,000        204,250   
Royal Bank of Scotland Group PLC, FRN, 3.625%, 3/25/24    EUR 250,000        287,674   
Wells Fargo & Co., 3%, 2/19/25    $ 306,000        294,653   
Wells Fargo & Co., 4.1%, 6/03/26      100,000        100,488   
Wells Fargo & Co., 5.875% to 6/15/25, FRN to 12/29/49      151,000        154,586   
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49      253,000        253,949   
    

 

 

 
             $ 13,784,438   
Medical & Health Technology & Services - 4.0%                 
Becton, Dickinson and Co., 2.675%, 12/15/19    $ 434,000      $ 434,165   
Becton, Dickinson and Co., 3.734%, 12/15/24      97,000        96,720   
CHS/Community Health Systems, Inc., 5.125%, 8/01/21      235,000        241,463   
CHS/Community Health Systems, Inc., 6.875%, 2/01/22      1,770,000        1,881,174   
Davita Healthcare Partners, Inc., 5%, 5/01/25      1,115,000        1,092,700   
Davita, Inc., 5.125%, 7/15/24      935,000        930,909   
Fresenius US Finance II, Inc., 4.25%, 2/01/21 (n)      32,000        32,480   
HCA, Inc., 4.25%, 10/15/19      145,000        147,900   
HCA, Inc., 7.5%, 2/15/22      2,160,000        2,477,930   
HCA, Inc., 5.875%, 3/15/22      1,950,000        2,120,625   
HCA, Inc., 5%, 3/15/24      690,000        706,388   
HCA, Inc., 5.375%, 2/01/25      520,000        527,800   
HealthSouth Corp., 5.125%, 3/15/23      1,180,000        1,168,200   
HealthSouth Corp., 5.75%, 11/01/24 (n)      640,000        648,896   
Laboratory Corp. of America Holdings, 3.2%, 2/01/22      200,000        195,646   
Laboratory Corp. of America Holdings, 4.7%, 2/01/45      310,000        282,969   
LifePoint Hospitals, Inc., 5.5%, 12/01/21      1,440,000        1,500,300   
McKesson Corp., 7.5%, 2/15/19      110,000        127,857   
Tenet Healthcare Corp., 8%, 8/01/20      1,800,000        1,878,750   
Tenet Healthcare Corp., 4.5%, 4/01/21      1,235,000        1,241,175   
Tenet Healthcare Corp., 8.125%, 4/01/22      685,000        758,638   
Tenet Healthcare Corp., 6.75%, 6/15/23      360,000        370,800   
Universal Health Services, Inc., 7.625%, 8/15/20      1,325,000        1,277,797   
    

 

 

 
             $ 20,141,282   
Medical Equipment - 0.9%                 
Alere, Inc., 6.375%, 7/01/23 (n)    $ 678,000      $ 694,950   
DJO Finco, Inc., 8.125%, 6/15/21 (n)      795,000        822,428   
Hologic, Inc., 5.25%, 7/15/22 (n)      1,065,000        1,084,969   

 

11


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Medical Equipment - continued                 
Medtronic, Inc., 3.5%, 3/15/25    $ 615,000      $ 612,502   
Teleflex, Inc., 5.25%, 6/15/24      1,220,000        1,223,050   
Zimmer Holdings, Inc., 4.25%, 8/15/35      145,000        133,252   
Zimmer Holdings, Inc., 4.45%, 8/15/45      91,000        82,348   
    

 

 

 
             $ 4,653,499   
Metals & Mining - 2.7%                 
Barrick International (Barbados) Corp., 5.75%, 10/15/16 (n)    $ 500,000      $ 521,615   
Cameco Corp., 5.67%, 9/02/19    CAD 262,000        222,730   
Century Aluminum Co., 7.5%, 6/01/21 (n)    $ 915,000        869,250   
Commercial Metals Co., 4.875%, 5/15/23      745,000        659,325   
Consol Energy, Inc., 5.875%, 4/15/22      1,315,000        940,225   
Consol Energy, Inc., 8%, 4/01/23 (n)      830,000        626,650   
First Quantum Minerals Ltd., 7.25%, 10/15/19 (n)      1,575,000        1,134,000   
First Quantum Minerals Ltd., 7.25%, 5/15/22 (n)      1,032,000        719,820   
Glencore Finance (Europe) S.A., 6.5%, 2/27/19    GBP 50,000        82,807   
GrafTech International Co., 6.375%, 11/15/20    $ 1,125,000        888,750   
Hudbay Minerals, Inc., 9.5%, 10/01/20      795,000        721,225   
Kinross Gold Corp., 5.95%, 3/15/24      296,000        251,232   
Lundin Mining Corp., 7.5%, 11/01/20 (n)      455,000        449,313   
Lundin Mining Corp., 7.875%, 11/01/22 (n)      805,000        792,925   
Plains Exploration & Production Co., 6.875%, 2/15/23      296,000        265,660   
Southern Copper Corp., 5.25%, 11/08/42      250,000        203,275   
Southern Copper Corp., 5.875%, 4/23/45      475,000        407,973   
Steel Dynamics, Inc., 5.125%, 10/01/21      430,000        421,615   
Steel Dynamics, Inc., 5.25%, 4/15/23      995,000        966,394   
Steel Dynamics, Inc., 5.5%, 10/01/24      430,000        417,638   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)      910,000        825,825   
Suncoke Energy Partners LP/Suncoke Energy Partners Finance Corp., 7.375%, 2/01/20 (n)      380,000        344,850   
Suncoke Energy, Inc., 7.625%, 8/01/19      127,000        129,540   
TMS International Corp., 7.625%, 10/15/21 (n)      530,000        506,150   
Xstrata Finance (Canada) Ltd., 5.25%, 6/13/17    EUR 200,000        239,731   
    

 

 

 
             $ 13,608,518   
Midstream - 4.7%                 
Access Midstream Partner LP, 4.875%, 3/15/24    $ 100,000      $ 93,244   
AmeriGas Finance LLC, 6.75%, 5/20/20      1,810,000        1,868,825   
APT Pipelines Ltd., 5%, 3/23/35 (n)      280,000        258,887   
Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (n)      840,000        823,200   
Crestwood Midstream Partners LP, 6%, 12/15/20      1,035,000        978,075   
Crestwood Midstream Partners LP, 6.125%, 3/01/22      505,000        459,550   
Crestwood Midstream Partners LP, 6.25%, 4/01/23 (n)      194,000        175,570   
El Paso Corp., 7.75%, 1/15/32      2,311,000        2,484,630   
Energy Transfer Equity LP, 7.5%, 10/15/20      1,600,000        1,714,032   
Energy Transfer Partners LP, 3.6%, 2/01/23      300,000        270,812   
Energy Transfer Partners LP, 5.15%, 3/15/45      280,000        235,967   
Enterprise Products Operating LLC, 1.65%, 5/07/18      296,000        293,422   
Enterprise Products Operating LLC, 4.85%, 3/15/44      74,000        66,722   
Enterprise Products Partners LP, 6.3%, 9/15/17      180,000        195,857   
Ferrellgas LP/Ferrellgas Finance Corp., 6.5%, 5/01/21      1,165,000        1,118,400   
Ferrellgas LP/Ferrellgas Finance Corp., 6.75%, 1/15/22      1,250,000        1,206,250   
Kinder Morgan Energy Partners LP, 5.3%, 9/15/20      370,000        394,376   
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44      140,000        116,807   
Kinder Morgan, Inc., 2.25%, 3/16/27    EUR 125,000        117,994   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 5.5%, 2/15/23    $ 665,000        651,700   

 

12


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Midstream - continued                 
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.5%, 7/15/23    $ 1,150,000      $ 1,063,750   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/24      300,000        278,250   
Pembina Pipeline Corp., 4.81%, 3/25/44    CAD 306,000        215,661   
Plains All American Pipeline LP, 3.95%, 9/15/15    $ 370,000        370,466   
Sabine Pass Liquefaction LLC, 5.625%, 2/01/21      1,305,000        1,285,425   
Sabine Pass Liquefaction LLC, 5.625%, 4/15/23      1,755,000        1,704,544   
Sabine Pass Liquefaction LLC, 5.75%, 5/15/24      575,000        562,063   
Sabine Pass Liquefaction LLC, 5.625%, 3/01/25 (n)      764,000        738,693   
Spectra Energy Capital LLC, 8%, 10/01/19      250,000        292,128   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.5%, 7/01/21      530,000        530,000   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.5%, 8/15/22      925,000        818,625   
Sunoco Logistics Partners LP, 5.3%, 4/01/44      158,000        133,848   
Sunoco Logistics Partners LP, 5.35%, 5/15/45      76,000        64,899   
Targa Resources Partners LP/Targa Resources Finance Corp., 5%, 1/15/18 (n)      345,000        341,550   
Targa Resources Partners LP/Targa Resources Finance Corp., 4.125%, 11/15/19 (n)      1,050,000        989,625   
Targa Resources Partners LP/Targa Resources Finance Corp., 5.25%, 5/01/23      410,000        385,400   
Williams Cos., Inc., 3.7%, 1/15/23      450,000        390,223   
    

 

 

 
             $ 23,689,470   
Mortgage-Backed - 1.4%                 
Fannie Mae, 6%, 7/01/16 - 2/01/37    $ 196,441      $ 216,880   
Fannie Mae, 5.5%, 9/01/19 - 7/01/35      620,030        677,043   
Fannie Mae, 6.5%, 4/01/32 - 1/01/33      67,195        77,775   
Fannie Mae, FRN, 0.449%, 5/25/18      5,887,824        5,890,850   
Freddie Mac, 6%, 8/01/34      106,420        121,473   
    

 

 

 
             $ 6,984,021   
Natural Gas - Distribution - 0.1%                 
GNL Quintero S.A., 4.634%, 7/31/29 (n)    $ 523,000      $ 510,622   
Network & Telecom - 1.7%                 
AT&T, Inc., 2.45%, 6/30/20    $ 277,000      $ 274,521   
AT&T, Inc., 4.75%, 5/15/46      235,000        214,206   
British Telecom PLC, 5.75%, 12/07/28    GBP 150,000        274,669   
Centurylink, Inc., 6.45%, 6/15/21    $ 425,000        424,405   
Centurylink, Inc., 7.65%, 3/15/42      960,000        820,800   
Citizens Communications Co., 9%, 8/15/31      1,135,000        1,000,928   
Columbus International, Inc., 7.375%, 3/30/21 (n)      200,000        210,500   
Frontier Communications Corp., 8.125%, 10/01/18      470,000        507,600   
Frontier Communications Corp., 6.25%, 9/15/21      315,000        287,564   
Frontier Communications Corp., 7.125%, 1/15/23      425,000        383,775   
OTE PLC, 7.875%, 2/07/18    EUR 150,000        171,255   
OTE PLC, 3.5%, 7/09/20    EUR 260,000        254,560   
Telecom Italia Capital, 6%, 9/30/34    $ 305,000        298,900   
Telecom Italia Finance S.A., 7.75%, 1/24/33    EUR 85,000        126,139   
Telecom Italia S.p.A., 5.375%, 1/29/19    EUR 200,000        249,914   
Telecom Italia S.p.A., 5.303%, 5/30/24 (n)    $ 1,200,000        1,209,000   
Telefonica Celular del Paraguay S.A., 6.75%, 12/13/22      517,000        520,878   
Verizon Communications, Inc., 4.5%, 9/15/20      503,000        540,347   
Verizon Communications, Inc., 5.15%, 9/15/23      250,000        274,077   
Verizon Communications, Inc., 2.625%, 12/01/31    EUR 225,000        249,050   
Verizon Communications, Inc., 6.4%, 9/15/33    $ 300,000        344,006   
    

 

 

 
             $ 8,637,094   

 

13


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Oil Services - 1.0%                 
Bristow Group, Inc., 6.25%, 10/15/22    $ 2,348,000      $ 2,066,240   
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 10/01/22 (n)      978,842        557,940   
Pacific Drilling S.A., 5.375%, 6/01/20 (n)      1,160,000        835,200   
QGOG Constellation S.A., 6.25%, 11/09/19 (n)      1,390,000        764,500   
Shale-Inland Holdings LLC/Finance Co., 8.75%, 11/15/19 (n)      780,000        577,200   
    

 

 

 
             $ 4,801,080   
Oils - 0.4%                 
CITGO Holding, Inc., 10.75%, 2/15/20 (n)    $ 715,000      $ 706,063   
CITGO Petroleum Corp., 6.25%, 8/15/22 (n)      1,100,000        1,067,000   
Valero Energy Corp., 4.9%, 3/15/45      232,000        209,870   
    

 

 

 
             $ 1,982,933   
Other Banks & Diversified Financials - 2.0%                 
Banco de Credito del Peru, 6.125% to 4/24/22, FRN to 4/24/27 (n)    $ 1,036,000      $ 1,087,800   
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n)      310,000        302,250   
Banco Popolare Societa Cooperativa, 3.5%, 3/14/19    EUR 320,000        368,449   
Bankia S.A., 3.5%, 1/17/19    EUR 200,000        233,388   
Banque Federative du Credit Mutuel S.A., 3%, 5/21/24    EUR 200,000        229,450   
BBVA Bancomer S.A. de C.V., 6.5%, 3/10/21 (n)    $ 900,000        966,375   
BBVA Bancomer S.A. de C.V., 6.75%, 9/30/22 (n)      1,004,000        1,087,332   
CaixaBank S.A., 5% to 9/04/18, FRN to 11/14/23    EUR 200,000        236,705   
Capital One Bank (USA) N.A., 3.375%, 2/15/23    $ 384,000        365,209   
Capital One Financial Corp., 2.35%, 8/17/18      806,000        805,526   
Citigroup, Inc., 2.15%, 7/30/18      428,000        427,916   
Citigroup, Inc., 8.5%, 5/22/19      341,000        411,768   
Discover Bank, 7%, 4/15/20      250,000        288,206   
Discover Bank, 4.25%, 3/13/26      148,000        146,703   
Discover Financial Services, 3.75%, 3/04/25      128,000        121,484   
Groupe BPCE S.A., 12.5% to 9/30/19, FRN to 8/29/49 (n)      1,513,000        1,986,766   
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 1/28/21      516,000        517,662   
Intesa Sanpaolo S.p.A., 5.25%, 1/28/22    GBP 100,000        168,572   
LBG Capital No. 2 PLC, 6.385%, 5/12/20    EUR 250,000        316,244   
Macquarie Group Ltd., 3%, 12/03/18 (n)    $ 106,000        107,186   
    

 

 

 
             $ 10,174,991   
Pharmaceuticals - 2.7%                 
AbbVie, Inc., 1.75%, 11/06/17    $ 300,000      $ 299,747   
AbbVie, Inc., 2.5%, 5/14/20      717,000        708,871   
Actavis Funding SCS, 3.8%, 3/15/25      256,000        247,752   
Actavis Funding SCS, 4.85%, 6/15/44      52,000        47,563   
Bayer AG, 3.00% to 7/01/20, FRN to 7/01/75    EUR 215,000        247,428   
Celgene Corp., 1.9%, 8/15/17    $ 400,000        401,485   
Celgene Corp., 2.875%, 8/15/20      524,000        524,966   
EMD Finance LLC, 2.95%, 3/19/22 (n)      275,000        269,567   
Endo Finance LLC/Endo Finco, Inc., 6%, 7/15/23 (n)      310,000        322,400   
Endo Finance LLC/Endo Finco, Inc., 7.75%, 1/15/22 (n)      1,690,000        1,804,075   
Endo Finance LLC/Endo Finco, Inc., 6%, 2/01/25 (n)      450,000        462,375   
Forest Laboratories, Inc., 4.375%, 2/01/19 (n)      496,000        518,297   
Gilead Sciences, Inc., 2.35%, 2/01/20      52,000        52,058   
Gilead Sciences, Inc., 3.7%, 4/01/24      268,000        271,449   
Hospira, Inc., 6.05%, 3/30/17      200,000        213,967   
Hospira, Inc., 5.2%, 8/12/20      175,000        195,553   
Mallinckrodt International Finance S.A., 5.75%, 8/01/22 (n)      1,085,000        1,108,328   
Mallinckrodt International Finance S.A., 5.5%, 4/15/25 (n)      135,000        133,988   

 

14


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Pharmaceuticals - continued                 
Mylan, Inc., 2.55%, 3/28/19    $ 265,000      $ 259,723   
Perrigo Finance PLC, 3.5%, 12/15/21      281,000        274,273   
Valeant Pharmaceuticals International, Inc., 7%, 10/01/20 (n)      1,415,000        1,464,525   
Valeant Pharmaceuticals International, Inc., 7.25%, 7/15/22 (n)      1,730,000        1,820,825   
Valeant Pharmaceuticals International, Inc., 5.5%, 3/01/23 (n)      260,000        263,575   
Vantage Point Imaging, 7.5%, 7/15/21 (n)      525,000        563,719   
VRX Escrow Corp., 5.875%, 5/15/23 (n)      615,000        627,300   
Watson Pharmaceuticals, Inc., 1.875%, 10/01/17      200,000        199,237   
    

 

 

 
             $ 13,303,046   
Pollution Control - 0.1%                 
Abengoa Finance S.A.U., 7.75%, 2/01/20 (n)    $ 1,035,000      $ 615,825   
Precious Metals & Minerals - 0.6%                 
Aurico Gold, Inc., 7.75%, 4/01/20 (n)    $ 1,550,000      $ 1,395,000   
Eldorado Gold Corp., 6.125%, 12/15/20 (n)      1,980,000        1,702,800   
    

 

 

 
             $ 3,097,800   
Printing & Publishing - 1.1%                 
American Media, Inc., 13.5%, 6/15/18 (z)    $ 11,911      $ 12,239   
Gannett Co., Inc., 5.125%, 10/15/19      320,000        330,400   
Gannett Co., Inc., 5.125%, 7/15/20      260,000        269,100   
Gannett Co., Inc., 4.875%, 9/15/21 (n)      430,000        424,625   
Gannett Co., Inc., 6.375%, 10/15/23      1,385,000        1,450,783   
Moody’s Corp., 4.875%, 2/15/24      200,000        208,973   
Nielsen Finance LLC, 5%, 4/15/22 (n)      1,680,000        1,656,900   
Outdoor Americas Capital LLC/Outfront Media Capital Corp., 5.625%, 2/15/24      1,000,000        1,023,750   
Outfront Media Cap LLC, 5.625%, 2/15/24 (n)      70,000        72,100   
    

 

 

 
             $ 5,448,870   
Railroad & Shipping - 0.1%                 
Union Pacific Corp., 3.875%, 2/01/55    $ 400,000      $ 347,816   
Real Estate - Apartment - 0.1%                 
Deutsche Annington Finance B.V., FRN, 4.625%, 4/08/74    EUR 200,000      $ 232,465   
Deutsche Annington Immobilien SE, 2.125%, 7/09/22    EUR 225,000        258,738   
    

 

 

 
             $ 491,203   
Real Estate - Healthcare - 0.4%                 
MPT Operating Partnership LP, REIT, 6.875%, 5/01/21    $ 680,000      $ 714,000   
MPT Operating Partnership LP, REIT, 6.375%, 2/15/22      1,115,000        1,174,931   
    

 

 

 
             $ 1,888,931   
Real Estate - Office - 0.1%                 
Boston Properties, Inc., REIT, 3.125%, 9/01/23    $ 250,000      $ 240,686   
Real Estate - Other - 0.5%                 
DuPont Fabros Technology LP, REIT, 5.875%, 9/15/21    $ 1,010,000      $ 1,042,825   
Felcor Lodging LP, REIT, 5.625%, 3/01/23      1,240,000        1,277,200   
Host Hotels & Resorts, Inc., REIT, 4%, 6/15/25      190,000        184,703   
    

 

 

 
             $ 2,504,728   
Real Estate - Retail - 0.3%                 
Brixmor Operating Partnership LP, REIT, 3.875%, 8/15/22    $ 585,000      $ 584,474   
Hammerson PLC, REIT, 2.75%, 9/26/19    EUR 100,000        119,217   
Hammerson PLC, REIT, 6%, 2/23/26    GBP 125,000        234,690   

 

15


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Real Estate - Retail - continued                 
Simon Property Group, Inc., REIT, 10.35%, 4/01/19    $ 360,000      $ 452,484   
    

 

 

 
             $ 1,390,865   
Restaurants - 0.0%                 
YUM! Brands, Inc., 5.35%, 11/01/43    $ 250,000      $ 237,802   
Retailers - 1.8%                 
Bed Bath & Beyond, Inc., 5.165%, 8/01/44    $ 145,000      $ 139,394   
Best Buy Co., Inc., 5.5%, 3/15/21      1,785,000        1,896,563   
Bon Ton Stores, Inc., 8%, 6/15/21      505,000        328,250   
Dollar General Corp., 4.125%, 7/15/17      400,000        413,728   
Dollar General Corp., 3.25%, 4/15/23      98,000        93,217   
DriveTime Automotive Group, Inc./DT Acceptance Corp., 8%, 6/01/21 (n)      726,000        671,550   
Family Tree Escrow LLC, 5.75%, 3/01/23 (n)      1,600,000        1,676,000   
Gap, Inc., 5.95%, 4/12/21      300,000        332,173   
Home Depot, Inc., 4.875%, 2/15/44      200,000        212,788   
Jo-Ann Stores Holdings, Inc., 9.75%, 10/15/19 (n)      610,000        512,400   
Kohl’s Corp., 4.25%, 7/17/25      634,000        617,222   
Marks & Spencer Group PLC, 4.75%, 6/12/25    GBP 100,000        165,277   
Neiman Marcus Group Ltd., 8%, 10/15/21 (n)    $ 620,000        654,100   
Rite Aid Corp., 9.25%, 3/15/20      515,000        554,591   
Rite Aid Corp., 6.75%, 6/15/21      385,000        406,135   
Rite Aid Corp., 6.125%, 4/01/23 (n)      485,000        497,731   
    

 

 

 
             $ 9,171,119   
Specialty Chemicals - 0.6%                 
Chemtura Corp., 5.75%, 7/15/21    $ 1,890,000      $ 1,894,725   
Ecolab, Inc., 2.625%, 7/08/25    EUR 100,000        116,131   
Mexichem S.A.B. de C.V., 5.875%, 9/17/44 (n)    $ 238,000        211,225   
Univar USA, Inc., 6.75%, 7/15/23 (n)      1,015,000        1,009,925   
    

 

 

 
             $ 3,232,006   
Specialty Stores - 0.9%                 
Argos Merger Sub, Inc., 7.125%, 3/15/23 (n)    $ 970,000      $ 1,016,075   
Group 1 Automotive, Inc., 5%, 6/01/22      1,400,000        1,389,500   
Michaels Stores, Inc., 5.875%, 12/15/20 (n)      1,120,000        1,173,200   
Office Depot de Mexico S.A. de C.V., 6.875%, 9/20/20 (n)      769,000        789,917   
    

 

 

 
             $ 4,368,692   
Supermarkets - 0.1%                 
Loblaw Cos. Ltd., 4.86%, 9/12/23    CAD 262,000      $ 224,074   
William Morrison Supermarkets PLC, 3.5%, 7/27/26    GBP 100,000        139,064   
    

 

 

 
             $ 363,138   
Supranational - 1.7%                 
European Investment Bank, 1.75%, 3/15/17    $ 8,000,000      $ 8,121,824   
International Bank for Reconstruction and Development, 4.25%, 6/24/25    AUD 210,000        162,668   
International Finance Corp., 3.25%, 7/22/19    AUD 305,000        223,804   
    

 

 

 
             $ 8,508,296   
Telecommunications - Wireless - 4.2%                 
America Movil S.A.B. de C.V., 1%, 6/04/18    EUR 100,000      $ 113,185   
America Movil S.A.B. de C.V., 4.75%, 6/28/22    EUR 200,000        271,235   
American Tower Corp., REIT, 3.5%, 1/31/23    $ 465,000        442,564   
Bharti Airtel International B.V., 3.375%, 5/20/21 (n)    EUR 100,000        117,714   

 

16


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Telecommunications - Wireless - continued                 
Bharti Airtel Ltd., 4.375%, 6/10/25 (z)    $ 395,000      $ 393,365   
Crown Castle International Corp., 4.875%, 4/15/22      385,000        395,106   
Crown Castle International Corp., 5.25%, 1/15/23      1,200,000        1,255,500   
Digicel Group Ltd., 8.25%, 9/30/20 (n)      1,053,000        974,025   
Digicel Group Ltd., 6%, 4/15/21 (n)      680,000        622,751   
Digicel Group Ltd., 7.125%, 4/01/22 (n)      425,000        370,281   
Digicel Group Ltd., 6.75%, 3/01/23 (n)      1,350,000        1,238,625   
Eileme 2 AB, 11.625%, 1/31/20 (n)      765,000        836,719   
Millicom International Cellular S.A., 4.75%, 5/22/20 (n)      390,000        373,425   
Millicom International Cellular S.A., 6.625%, 10/15/21 (n)      409,000        407,160   
MTS International Funding Ltd., 5%, 5/30/23 (n)      488,000        424,560   
SBA Tower Trust, 2.898%, 10/15/44 (n)      220,000        218,912   
Sprint Capital Corp., 6.875%, 11/15/28      1,625,000        1,397,500   
Sprint Corp., 7.875%, 9/15/23      955,000        917,994   
Sprint Corp., 7.125%, 6/15/24      1,655,000        1,530,362   
Sprint Nextel Corp., 9%, 11/15/18 (n)      880,000        980,100   
Sprint Nextel Corp., 6%, 11/15/22      830,000        747,000   
T-Mobile USA, Inc., 6.125%, 1/15/22      135,000        139,219   
T-Mobile USA, Inc., 6.5%, 1/15/24      615,000        631,913   
T-Mobile USA, Inc., 6.464%, 4/28/19      235,000        241,756   
T-Mobile USA, Inc., 6.25%, 4/01/21      2,590,000        2,674,952   
T-Mobile USA, Inc., 6.633%, 4/28/21      515,000        538,175   
Wind Acquisition Finance S.A., 4%, 7/15/20 (n)    EUR 200,000        226,450   
Wind Acquisition Finance S.A., 4.75%, 7/15/20 (n)    $ 1,070,000        1,078,025   
Wind Acquisition Finance S.A., 7.375%, 4/23/21 (n)      1,350,000        1,380,375   
    

 

 

 
             $ 20,938,948   
Telephone Services - 0.8%                 
B Communications Ltd., 7.375%, 2/15/21 (n)    $ 1,821,000      $ 1,948,470   
Level 3 Financing, Inc., 8.625%, 7/15/20      630,000        667,485   
Level 3 Financing, Inc., 5.375%, 5/01/25 (n)      1,270,000        1,227,138   
TELUS Corp., 5.05%, 7/23/20    CAD 265,000        227,071   
    

 

 

 
             $ 4,070,164   
Tobacco - 0.4%                 
Altria Group, Inc., 2.85%, 8/09/22    $ 376,000      $ 361,733   
Imperial Tobacco Finance PLC, 4.25%, 7/21/25 (z)      455,000        449,753   
Philip Morris International, Inc., 4.875%, 11/15/43      174,000        182,500   
Reynolds American, Inc., 8.125%, 6/23/19 (n)      92,000        108,497   
Reynolds American, Inc., 6.75%, 6/15/17      400,000        432,752   
Reynolds American, Inc., 3.25%, 6/12/20      75,000        75,980   
Reynolds American, Inc., 4.45%, 6/12/25      98,000        100,704   
Reynolds American, Inc., 5.7%, 8/15/35      118,000        124,924   
    

 

 

 
             $ 1,836,843   
Transportation - Services - 1.3%                 
ERAC USA Finance LLC, 6.375%, 10/15/17 (n)    $ 400,000      $ 437,077   
ERAC USA Finance LLC, 7%, 10/15/37 (n)      250,000        306,538   
Heathrow Funding Ltd., 4.625%, 10/31/48    GBP 100,000        162,881   
HIT Finance B.V., 4.875%, 10/27/21    EUR 150,000        201,391   
Jack Cooper Holdings Corp., 10.25%, 6/01/20 (n)    $ 1,140,000        1,037,400   
Navios Maritime Acquisition Corp., 8.125%, 11/15/21 (n)      1,349,000        1,288,295   
Navios Maritime Holding, Inc., 7.375%, 1/15/22 (n)      1,045,000        867,350   
Stena AB, 7%, 2/01/24 (n)      1,770,000        1,548,750   
Syncreon Group BV/Syncre, 8.625%, 11/01/21 (n)      670,000        479,050   

 

17


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Transportation - Services - continued                 
Topaz Marine S.A., 8.625%, 11/01/18 (n)    $ 208,000      $ 195,260   
    

 

 

 
             $ 6,523,992   
U.S. Government Agencies and Equivalents - 2.6%                 
Fannie Mae, 1.125%, 4/27/17    $ 8,000,000      $ 8,067,752   
Freddie Mac, 0.875%, 2/22/17      5,000,000        5,016,025   
    

 

 

 
             $ 13,083,777   
U.S. Treasury Obligations - 1.5%                 
U.S. Treasury Bonds, 5.375%, 2/15/31    $ 286,200      $ 390,916   
U.S. Treasury Bonds, 4.5%, 2/15/36      95,000        122,702   
U.S. Treasury Bonds, 4.75%, 2/15/37 (f)      3,042,200        4,061,535   
U.S. Treasury Bonds, 3.125%, 2/15/43 (f)      2,920,000        3,019,919   
    

 

 

 
             $ 7,595,072   
Utilities - Electric Power - 2.5%                 
AES Gener S.A., 5%, 7/14/25 (z)    $ 207,000      $ 210,287   
American Electric Power Co., Inc., 1.65%, 12/15/17      185,000        184,405   
Calpine Corp., 5.375%, 1/15/23      350,000        337,645   
Calpine Corp., 5.5%, 2/01/24      565,000        545,225   
CMS Energy Corp., 3.875%, 3/01/24      250,000        252,729   
Covanta Holding Corp., 7.25%, 12/01/20      1,830,000        1,910,154   
Covanta Holding Corp., 6.375%, 10/01/22      310,000        318,525   
Covanta Holding Corp., 5.875%, 3/01/24      340,000        331,500   
Dominion Resources, Inc., 2.5%, 12/01/19      250,000        250,689   
Duke Energy Corp., 1.625%, 8/15/17      185,000        185,519   
E.CL S.A., 5.625%, 1/15/21      757,000        824,606   
E.CL S.A., 4.5%, 1/29/25 (n)      762,000        756,788   
E.ON International Finance B.V., 6.375%, 6/07/32    GBP 50,000        94,516   
EDP Finance B.V., 5.25%, 1/14/21 (n)    $ 200,000        211,000   
EDP Finance B.V., 4.125%, 1/20/21    EUR 150,000        184,225   
Empresa Electrica Angamos S.A., 4.875%, 5/25/29 (n)    $ 319,000        299,063   
Enel Finance International N.V., 4.875%, 3/11/20    EUR 200,000        262,778   
Enel S.p.A., 6.25%, 6/20/19    GBP 100,000        174,356   
Enel S.p.A., 6.625% to 15/09/2021, FRN to 9/15/76    GBP 130,000        208,558   
Greenko Dutch B.V., 8%, 8/01/19 (n)    $ 378,000        382,158   
NRG Energy, Inc., 8.25%, 9/01/20      1,085,000        1,120,263   
NRG Energy, Inc., 6.25%, 7/15/22      115,000        112,125   
NRG Energy, Inc., 6.625%, 3/15/23      1,805,000        1,773,413   
PG&E Corp., 2.4%, 3/01/19      166,000        166,568   
PPL WEM Holdings PLC, 5.375%, 5/01/21 (n)      250,000        277,464   
Southern Electric Power Co. Ltd., 4.625%, 2/20/37    GBP 100,000        167,114   
TerraForm Power Operating LLC, 6.125%, 6/15/25 (n)    $ 825,000        777,563   
    

 

 

 
             $ 12,319,236   
Total Bonds            $ 558,821,627   
Floating Rate Loans (g)(r) - 1.1%                 
Aerospace - 0.1%                 
TransDigm, Inc., Term Loan C, 3.75%, 2/28/20    $ 539,486      $ 533,513   
Cable TV - 0.0%                 
Cequel Communications LLC, Term Loan B, 3.5%, 2/14/19    $ 79,267      $ 78,755   

 

18


Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Floating Rate Loans (g)(r) - continued                 
Conglomerates - 0.0%                 
Entegris, Inc., Term Loan B, 3.5%, 4/30/21    $ 113,604      $ 112,610   
Consumer Services - 0.1%                 
Realogy Corp., Term Loan B, 3.75%, 3/05/20    $ 307,092      $ 306,421   
Containers - 0.1%                 
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21    $ 325,291      $ 322,490   
Electronics - 0.1%                 
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21    $ 795,155      $ 794,050   
Energy - Independent - 0.1%                 
MEG Energy Corp., Term Loan, 3.75%, 3/31/20    $ 458,403      $ 426,200   
Entertainment - 0.1%                 
Cedar Fair LP, Term Loan B, 3.25%, 3/06/20    $ 327,318      $ 328,137   
Gaming & Lodging - 0.0%                 
Hilton Worldwide Finance LLC, Term Loan B2, 3.5%, 10/25/20    $ 109,511      $ 109,288   
Medical & Health Technology & Services - 0.2%                 
DaVita HealthCare Partners, Inc., Term Loan B, 3.5%, 6/24/21    $ 944,678      $ 942,711   
Printing & Publishing - 0.0%                 
CBS Outdoor Americas Capital LLC, Term Loan B, 3%, 1/31/21    $ 96,113      $ 95,593   
Retailers - 0.0%                 
Rite Aid Corp., Second Lien Term Loan, 4.87%, 6/21/21    $ 44,587      $ 44,573   
Transportation - Services - 0.3%                 
Commercial Barge Line Co., First Lien Term Loan, 7.5%, 9/15/19    $ 1,322,268      $ 1,317,310   
Utilities - Electric Power - 0.0%                 
Calpine Construction Finance Co. LP, Term Loan B1, 3%, 5/03/20    $ 122,203      $ 119,708   
Total Floating Rate Loans            $ 5,531,359   
Common Stocks - 0.2%                 
Automotive - 0.0%                 
Accuride Corp. (a)      12,648      $ 42,877   
Special Products & Services - 0.2%                 
iShares iBoxx $ High Yield Corporate Bond ETF      12,200      $ 1,052,128   
Total Common Stocks            $ 1,095,005   
Money Market Funds - 5.4%                 
MFS Institutional Money Market Portfolio, 0.11%, at Net Asset Value (v)      26,976,716      $ 26,976,716   
Total Investments            $ 592,424,707   
Other Assets, Less Liabilities - (18.1)%              (90,700,174
Net Assets - 100.0%            $ 501,724,533   

 

(a) Non-income producing security.
(d) In default.
(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.

 

19


Portfolio of Investments (unaudited) – continued

 

(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.
(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $176,461,863, representing 35.2% of net assets.
(p) Payment-in-kind security.
(q) Interest received was less than stated coupon rate.
(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date
     Cost      Value  
AES Gener S.A., 5%, 7/14/25      7/09/15         $206,123         $210,287   
American Media, Inc., 13.5%, 6/15/18      12/22/10         12,004         12,239   
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.798%, 12/28/40      3/01/06         640,424         400,403   
Bharti Airtel Ltd., 4.375%, 6/10/25      6/03/15         392,301         393,365   
Crown European Holdings S.A., 3.375%, 5/15/25      4/28/15         384,073         365,260   
Dryden Senior Loan Fund, 2013-26A, “A”, CLO, FRN, 1.388%, 7/15/25      9/26/14         712,253         712,397   
Imperial Tobacco Finance PLC, 4.25%, 7/21/25      7/15/15         445,469         449,753   
Republic of Indonesia, 2.875%, 7/08/21      7/02/14         237,645         193,922   
Smurfit Kappa Acquisitions, 2.75%, 2/01/25      2/11/15         310,613         295,168   
Total Restricted Securities         $3,032,794   
% of Net assets         0.6%   

The following abbreviations are used in this report and are defined:

 

CDO   Collateralized Debt Obligation
CLO   Collateralized Loan Obligation
ETF   Exchange-Traded Fund
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company
REIT   Real Estate Investment Trust

Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:

 

AUD   Australian Dollar
BRL   Brazilian Real
CAD   Canadian Dollar
CHF   Swiss Franc
DKK   Danish Krone
EUR   Euro
GBP   British Pound
IDR   Indonesian Rupiah
INR   Indian Rupee
JPY   Japanese Yen
KRW   Korean Won
MXN   Mexican Peso
MYR   Malaysian Ringgit
NOK   Norwegian Krone
NZD   New Zealand Dollar

 

20


Portfolio of Investments (unaudited) – continued

 

SEK   Swedish Krona
SGD   Singapore Dollar
THB   Thailand Baht
ZAR   South African Rand

Derivative Contracts at 8/31/15

Forward Foreign Currency Exchange Contracts at 8/31/15

 

Type    Currency      Counterparty   Contracts to
Deliver/Receive
   Settlement
Date Range
  In Exchange
For
    Contracts
at Value
    Net Unrealized
Appreciation
(Depreciation)
 
Asset Derivatives         
SELL      AUD      

Westpac Banking Corp.

  6,766,172    10/09/15   $ 5,000,844      $ 4,806,028      $ 194,816   
BUY      BRL      

JPMorgan Chase Bank N.A.

  2,777,369    9/02/15     761,612        765,822        4,210   
SELL      BRL      

Deutsche Bank AG

  13,590,212    9/02/15-10/02/15     3,987,594        3,726,569        261,025   
SELL      BRL      

JPMorgan Chase Bank N.A.

  7,012,394    9/02/15     1,956,965        1,933,573        23,392   
SELL      CAD      

Goldman Sachs International

  1,780,384    10/09/15     1,358,341        1,353,151        5,190   
SELL      CAD      

Merrill Lynch International

  10,214,617    10/09/15     8,060,994        7,763,445        297,549   
BUY      EUR      

Barclays Bank PLC

  64,000    10/09/15     71,172        71,857        685   
BUY      EUR      

Goldman Sachs International

  5,045,406    10/09/15     5,529,488        5,664,826        135,338   
BUY      EUR      

Merrill Lynch International

  575,000    10/09/15     627,138        645,592        18,454   
SELL      GBP      

Barclays Bank PLC

  3,160,394    10/09/15     4,913,102        4,848,633        64,469   
SELL      GBP      

Goldman Sachs International

  1,738,661    10/09/15     2,712,958        2,667,430        45,528   
SELL      GBP      

Merrill Lynch International

  3,160,394    10/09/15     4,918,471        4,848,633        69,838   
SELL      IDR      

Barclays Bank PLC

  29,789,040,868    10/07/15     2,164,901        2,102,967        61,934   
BUY      JPY      

Deutsche Bank AG

  301,687,000    9/09/15     2,438,052        2,488,575        50,523   
BUY      JPY      

Goldman Sachs International

  17,823,000    10/09/15     143,731        147,101        3,370   
BUY      KRW      

JPMorgan Chase Bank N.A.

  44,218,500    10/13/15     37,321        37,339        18   
SELL      NOK      

Goldman Sachs International

  39,629,594    10/09/15     4,813,506        4,787,189        26,317   
SELL      NZD      

Goldman Sachs International

  3,166,028    10/09/15     2,090,779        2,000,856        89,923   
SELL      NZD      

JPMorgan Chase Bank N.A.

  1,272,000    10/09/15     837,670        803,875        33,795   
SELL      NZD      

Westpac Banking Corp.

  5,905,535    10/09/15     3,900,252        3,732,161        168,091   
SELL      THB      

JPMorgan Chase Bank N.A.

  83,682,000    9/14/15     2,359,898        2,333,210        26,688   
                

 

 

 
                 $ 1,581,153   
                

 

 

 
Liability Derivatives         
BUY      AUD      

Barclays Bank PLC

  137,000    10/09/15   $ 101,249      $ 97,311      $ (3,938
BUY      AUD      

Goldman Sachs International

  2,037,000    10/09/15     1,505,628        1,446,886        (58,742
BUY      BRL      

Deutsche Bank AG

  9,267,581    9/02/15     2,640,459        2,555,411        (85,048
BUY      BRL      

JPMorgan Chase Bank N.A.

  11,247,419    9/02/15-10/02/15     3,139,558        3,080,831        (58,727
SELL      BRL      

Deutsche Bank AG

  2,777,369    9/02/15     761,612        765,822        (4,210
BUY      CAD      

Goldman Sachs International

  179,000    10/09/15     137,818        136,046        (1,772
BUY      CHF      

UBS AG

  15,082    10/09/15     15,931        15,622        (309
SELL      DKK      

Goldman Sachs International

  6,145,566    10/09/15     912,997        924,725        (11,728
SELL      EUR      

Barclays Bank PLC

  900,000    10/09/15     1,009,117        1,010,492        (1,375
SELL      EUR      

Goldman Sachs International

  1,172,066    10/09/15     1,286,998        1,315,959        (28,961
SELL      EUR      

JPMorgan Chase Bank N.A.

  4,497,000    10/09/15     4,907,466        5,049,093        (141,627
SELL      EUR      

Royal Bank of Scotland Group PLC

  1,283,000    10/09/15     1,410,297        1,440,513        (30,216
SELL      EUR      

UBS AG

  28,229,534    10/09/15     30,891,551        31,695,252        (803,701
BUY      GBP      

Barclays Bank PLC

  1,580,000    10/09/15     2,446,280        2,424,014        (22,266
BUY      GBP      

Goldman Sachs International

  414,199    10/09/15     643,269        635,459        (7,810
BUY      GBP      

JPMorgan Chase Bank N.A.

  3,149,000    10/09/15     4,910,630        4,831,152        (79,478
BUY      INR      

Barclays Bank PLC

  79,660,000    10/07/15     1,239,651        1,190,704        (48,947
BUY      INR      

JPMorgan Chase Bank N.A.

  80,716,000    10/07/15     1,253,354        1,206,488        (46,866
SELL      JPY      

Credit Suisse Group

  799,037,949    10/09/15     6,531,556        6,594,804        (63,248
SELL      JPY      

Deutsche Bank AG

  824,037,949    10/09/15     6,733,830        6,801,139        (67,309
SELL      JPY      

Goldman Sachs International

  333,311,000    10/09/15     2,685,783        2,750,959        (65,176
BUY      MXN      

Goldman Sachs International

  882,458    10/09/15     55,386        52,672        (2,714
BUY      MYR      

JPMorgan Chase Bank N.A.

  235,000    10/26/15     61,230        55,730        (5,500
BUY      NZD      

JPMorgan Chase Bank N.A.

  3,295,000    10/09/15     2,190,831        2,082,364        (108,467
SELL      SEK      

Goldman Sachs International

  5,674,668    10/09/15     664,707        670,864        (6,157

 

21


Portfolio of Investments (unaudited) – continued

 

Forward Foreign Currency Exchange Contracts at 8/31/15 - continued

 

Type    Currency      Counterparty    Contracts to
Deliver/Receive
   Settlement
Date Range
   In Exchange
For
     Contracts
at Value
     Net Unrealized
Appreciation
(Depreciation)
 
Liability Derivatives – continued            
BUY      SGD      

Goldman Sachs International

   40,141    10/09/15    $ 29,638       $ 28,397       $ (1,241
BUY      ZAR      

Citibank N.A.

   569,852    10/09/15      44,770         42,697         (2,073
                    

 

 

 
                     $ (1,757,606
                    

 

 

 

Futures Contracts at 8/31/15

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)
 
Asset Derivatives               
Interest Rate Futures               
German Euro Bobl 5 yr (Long)      EUR         115       $16,780,014    September - 2015      $114,594   
German Euro Bund 10 yr (Long)      EUR         82       14,086,775    September - 2015      130,995   
German Euro Buxl 30 yr (Long)      EUR         17       2,891,623    September - 2015      8,356   
Japanese Government Bond 10 yr (Long)      JPY         18       21,967,914    September - 2015      197,245   
U.S. Treasury Bond 30 yr (Short)      USD         4       618,500    December - 2015      1,611   
U.S. Treasury Note 10 yr (Short)      USD         644       81,828,250    December - 2015      17,797   
U.S. Treasury Note 2 yr (Short)      USD         121       26,434,719    December - 2015      35,498   
              

 

 

 
                 $506,096   
              

 

 

 
Liability Derivatives               
Interest Rate Futures               
U.K. Gilt 10 yr (Long)      GBP         35       $6,293,982    December - 2015      $(17,321
              

 

 

 

At August 31, 2015, the fund had cash collateral of $340,000 and other liquid securities with an aggregate value of $2,058,947 to cover any commitments for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

22


Supplemental Information

8/31/15 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency exchange contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other

 

23


Supplemental Information (unaudited) – continued

 

financial instruments are derivative instruments not reflected in total investments, such as futures contracts and forward foreign currency exchange contracts. The following is a summary of the levels used as of August 31, 2015 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2     Level 3      Total  
Equity Securities      $1,095,005         $—        $—         $1,095,005   
U.S. Treasury Bonds & U.S. Government Agency & Equivalents              20,678,849                20,678,849   
Non-U.S. Sovereign Debt              89,225,568                89,225,568   
U.S. Corporate Bonds              325,804,028                325,804,028   
Residential Mortgage-Backed Securities              7,041,066                7,041,066   
Commercial Mortgage-Backed Securities              18,399,866